Risk minimisation using options and risky assets
We consider mean-risk portfolio optimisation models, with risk measured by symmetric measures (variance) as well as downside or tail measures (lower partial moments, conditional value at risk). A framework for including index options in the universe of assets, in addition to stocks, is provided. The...
| Published in: | Operational Research |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Springer Science and Business Media Deutschland GmbH
2022
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85083795494&doi=10.1007%2fs12351-020-00559-5&partnerID=40&md5=24b14e0fedab4dc0b8004977a38326da |